Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0246
Annualized Std Dev 0.3115
Annualized Sharpe (Rf=0%) -0.0789

Row

Daily Return Statistics

Close
Observations 4212.0000
NAs 1.0000
Minimum -0.3408
Quartile 1 -0.0067
Median 0.0008
Arithmetic Mean 0.0001
Geometric Mean -0.0001
Quartile 3 0.0072
Maximum 0.2941
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0007
Variance 0.0004
Stdev 0.0196
Skewness -0.6624
Kurtosis 53.4228

Downside Risk

Close
Semi Deviation 0.0143
Gain Deviation 0.0151
Loss Deviation 0.0173
Downside Deviation (MAR=210%) 0.0184
Downside Deviation (Rf=0%) 0.0143
Downside Deviation (0%) 0.0143
Maximum Drawdown 0.8311
Historical VaR (95%) -0.0255
Historical ES (95%) -0.0460
Modified VaR (95%) -0.0146
Modified ES (95%) -0.0146
From Trough To Depth Length To Trough Recovery
2014-08-28 2020-03-18 NA -0.8311 1652 1398 NA
2007-04-19 2008-11-20 2011-04-19 -0.6251 1010 404 606
2011-07-20 2011-08-08 2012-02-03 -0.2480 138 14 124
2005-08-12 2006-05-22 2006-11-22 -0.1674 324 195 129
2012-07-17 2012-11-15 2013-01-17 -0.1579 127 85 42

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA 0 0 0.8 0.7 1.6 -0.2 -0.2 2.8
2005 0.9 0.3 2.2 0.6 1.3 0.6 1.4 0.7 -0.3 -2.6 0 0.5 5.6
2006 1 -0.1 -1.2 0.7 1.4 -0.2 1.3 0.4 0.5 -0.6 0.9 0.7 4.9
2007 2.9 -2.6 1.2 -0.8 0.6 0.9 -3.3 1.1 -0.4 -0.2 3.5 3 5.7
2008 1.9 -2.6 2 1.4 -0.5 0 1.1 0.5 3.6 0.7 -6.2 5.6 7.3
2009 -1.1 3.4 0.3 2.2 -0.2 0.7 0.4 -1.7 -0.4 -0.5 1.1 -1.9 2.2
2010 1.3 0.9 0.6 -5.2 -1.3 -0.5 -0.4 2 1.1 -0.6 0 -0.2 -2.5
2011 1.1 0 0.8 0.4 -1.7 0.4 -0.1 0.7 -0.3 -1.5 0 -0.9 -1.2
2012 0.9 0.1 0.4 -0.2 -2.6 1.7 0.3 0.7 0.9 0.6 0.2 0.5 3.4
2013 -0.1 -0.4 1.8 0 -1.1 0.8 0 -0.6 1.6 -0.4 1.3 1.1 4
2014 0.8 -0.4 0.1 0.6 0.2 0.3 -0.7 0.4 -1.5 0.9 -4.1 0.1 -3.4
2015 0.7 0 0.4 0.3 -0.7 -1.9 0 -2.1 1.7 1.9 -1.7 5.8 4.2
2016 -2.4 -1.4 -1.4 2.9 0.8 0 -2.1 0 0.9 -1.8 -2.2 0.5 -6.1
2017 0.8 0.7 1.7 0.5 0.8 0.4 0.2 0.3 0.8 1.7 2.4 1 11.9
2018 0.4 -1 1.2 0.2 0.6 0.9 0.2 -0.4 0.6 0.6 2.4 1.2 7.1
2019 0.1 -0.5 1.2 0.5 -0.6 0.8 0.2 -0.1 0.1 0 -0.3 0.9 2.4
2020 -0.1 -1.4 0.3 -4.7 0.1 1.2 -0.9 -1 -0.8 -1.3 -0.7 1.9 -7.1
2021 0.4 -0.2 0.5 NA NA NA NA NA NA NA NA NA 0.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-06-25  20.0 SPY    114. -0.00480   0.0018  0.0178    0.0256    0.167  -0.0653   -0.154 <NA>     NA    NA       NA
2 2004-06-28  20.0 SPY    113. -0.0034    0.0022  0.0108    0.0218    0.148  -0.0733   -0.151 <NA>     NA    NA       NA
3 2004-06-29  20.0 SPY    114.  0.0041    0.0013  0.00930   0.0118    0.166  -0.08     -0.144 <NA>     NA    NA       NA
4 2004-06-30  20   SPY    115.  0.0054   -0.0019  0.0148    0.0138    0.173  -0.0677   -0.133 <NA>     NA    NA       NA
5 2004-07-01  20   SPY    113. -0.0139   -0.0127  0.002    -0.0014    0.146  -0.0721   -0.142 <NA>     NA    NA       NA
6 2004-07-02  20   SPY    113. -0.0005   -0.0084 -0.0022   -0.0079    0.131  -0.0713   -0.153 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart